Consistent risk measures and a non-linear extension of backwards martingale convergence

DOI10.1142/9789814596534_0011zbMath1336.60071OpenAlexW2479711731MaRDI QIDQ2800238

Hans Föllmer, Irina Penner

Publication date: 15 April 2016

Published in: Festschrift Masatoshi Fukushima (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4c4175f223ebc166ba35c83b7187d2b7254f8eba

zbMATH Keywords

risk measuresbackwards martingale convergence

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Limit theorems in probability theory (60F99)

Related Items (1)

Spatial Risk Measures: Local Specification and Boundary Risk

This page was built for publication: Consistent risk measures and a non-linear extension of backwards martingale convergence